How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's illiquidity

Spline Coefficients

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Parameter	Value	t-statistic
m window Rolling window length	81
α ARCH Response to squared shocks	0.2006	3.29***
β GARCH Volatility persistence	0.8016	215.82***
γ leverage Additional response to negative shocks	-0.2006	-1.74*
λ₁ tau intercept Baseline long-term coefficient	0.5473	3.94***
λ₂ forecast adj. Forecast performance sensitivity	0.9739	3.78***
λ₃ tau persistence Long-term factor persistence	0.0163	0.78

V-Lab

Nidec Chaun-Choung Techno ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Nidec Chaun-Choung Techno Analyses